Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0233 |
| Annualized Std Dev | 0.2303 |
| Annualized Sharpe (Rf=0%) | 0.1013 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4534.0000 |
| NAs | 1.0000 |
| Minimum | -0.1213 |
| Quartile 1 | -0.0059 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1542 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0145 |
| Skewness | -0.4066 |
| Kurtosis | 10.4985 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0106 |
| Downside Deviation (0%) | 0.0106 |
| Maximum Drawdown | 0.6450 |
| Historical VaR (95%) | -0.0221 |
| Historical ES (95%) | -0.0364 |
| Modified VaR (95%) | -0.0222 |
| Modified ES (95%) | -0.0415 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6450 | 3362 | 339 | NA |
| 2002-11-22 | 2003-03-12 | 2003-05-15 | -0.2015 | 87 | 45 | 42 |
| 2006-05-10 | 2006-06-13 | 2006-10-25 | -0.1263 | 118 | 24 | 94 |
| 2007-07-13 | 2007-08-16 | 2007-10-05 | -0.1257 | 60 | 25 | 35 |
| 2004-02-18 | 2004-08-11 | 2004-11-04 | -0.1161 | 175 | 116 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 | 0.8 | -3.4 | -0.9 |
| 2003 | -1.9 | 1.9 | 2.2 | -1.3 | -0.8 | 0.1 | -1.4 | -0.5 | 1.1 | -0.5 | 1.6 | 1.6 | 2.1 |
| 2004 | -0.9 | 1.1 | 0.8 | 0.5 | -0.7 | -1.6 | 0.2 | 0.1 | 0.7 | 0.8 | 1.7 | -0.7 | 2.1 |
| 2005 | 1.1 | 0.4 | -1.5 | -0.6 | 1.3 | 0 | 1.2 | 1.8 | -0.4 | 0.3 | 1.3 | -1 | 4.1 |
| 2006 | -0.1 | 0.7 | -0.8 | 0 | 0.6 | 1.1 | -0.9 | 0.6 | 0 | -0.4 | -0.9 | -0.4 | -0.6 |
| 2007 | 0.8 | -1.4 | 0.1 | -0.1 | 0.6 | 0.5 | -0.3 | 2.1 | 1 | -2.8 | 0.1 | -0.5 | 0 |
| 2008 | 1.7 | -2.5 | 3.6 | 1 | -0.1 | -1.1 | -0.1 | -0.6 | 0.2 | 2.1 | -7.2 | 1.8 | -1.8 |
| 2009 | -0.5 | -0.8 | 0.9 | 1.9 | 2.9 | 1.9 | 0.9 | -2.9 | -2.8 | -2.2 | 2.7 | -0.5 | 1.2 |
| 2010 | 2 | 0.5 | 1.6 | -1.2 | -0.8 | 1.9 | -0.3 | 4.1 | -0.7 | 0 | 3.2 | 0 | 10.6 |
| 2011 | 2.3 | -1.5 | 0.2 | 0.5 | -2.1 | 0.6 | -2.8 | -0.8 | -2.3 | -3.9 | 0.1 | 0.5 | -9.1 |
| 2012 | 1.9 | 0.9 | 0.9 | 1.9 | -1.8 | 3.8 | 0.5 | 0.9 | 0.9 | 1.2 | 0.4 | 1.9 | 14.1 |
| 2013 | 0.8 | -0.6 | -0.4 | -0.5 | -1.7 | 0.8 | 0.9 | -0.9 | 0.5 | -0.6 | 0.4 | 0.5 | -0.9 |
| 2014 | -1 | 0.2 | 0.5 | 0.3 | 0.1 | 0.8 | -0.8 | 0.1 | -1 | 1.3 | -0.2 | -0.9 | -0.8 |
| 2015 | -1.6 | -0.1 | 0.9 | 0.4 | -0.9 | 0.3 | 0.4 | -2.9 | -0.1 | -0.1 | 0.8 | -1.3 | -4.2 |
| 2016 | -0.1 | 2.6 | -1 | -0.6 | -0.1 | -0.1 | -1.1 | 0.2 | 0.8 | -0.5 | -0.4 | 0.6 | 0.3 |
| 2017 | 0.4 | 1.1 | 0.3 | 0.5 | 0.3 | -0.3 | 0.4 | 0.2 | 0.9 | -0.1 | -0.2 | 0 | 3.7 |
| 2018 | -0.4 | -1.1 | 0.6 | -0.6 | 0.9 | 1 | -0.8 | -1.1 | -0.1 | 1.5 | -0.2 | 0 | -0.5 |
| 2019 | 0.2 | 0.5 | 1 | -0.8 | -0.8 | 0.2 | -0.1 | 0.3 | -0.9 | 0.6 | -0.6 | 0.6 | 0.2 |
| 2020 | -1.4 | -0.9 | -4.2 | -2.5 | 1.9 | 0.4 | -2.1 | -0.8 | 0.2 | -0.5 | 1.9 | -1 | -8.7 |
| 2021 | 1.5 | 1.6 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
